MATH 515 - Financial Mathematics II

Credits: 3

Convex sets. Separating Hyperplane Theorem. Fundamental Theorem of Asset Pricing. Risk and expected return. Minimum variance portfolios. Capital Asset Pricing Model. Martingales and options pricing. Optimization models and dynamic programming.

Cross-listed Course: STAT 523

Prerequisites: C or better in MATH 514 or STAT 522 or consent of the Undergraduate Director

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